He is mortal in the sense he can killed. Same as Jesus. Immortal and mortal at the same time. Incarnated, sacrificed and resurrected. Defeats death in the form of the Balrog. LOTR is not a total analogy but many of the characters are analogues. Unlike the other characters you mentioned he does actually give his life not just risk it.
Maiar are not mortal. They're immortal spirits. They take on bodies of their choosing, and those bodies can sustain harm, but they don't "die", they just take on new forms. Sauron is also a Maia, thus when he's "defeated" physically, his spirit remains and lurks and regains strength until it can take a new physical form.
There aren't a lot of direct correlations between Middle-earth and reality when it comes to spirits, death, the afterlife, etc. There's a lot of lurking on this plane or that plane, waiting to be reincarnated or ushered to another plane of existence, "fading", etc.
The Balrog doesn't represent "death". He's an ancient demon, and also a Maia.
From TolkienGateway.net (a great resource for LOTR lore!):
But the Balrog's whip lashed out, and grasped Gandalf by the knees, causing him to fall into the pit. While falling, Gandalf shouted "Fly, you fools" and vanished into the abyss.
Yet Gandalf did not die; he and the Balrog fought long in the bowels and deep places of Arda. After restless pursuit over the course of eight days, Gandalf and the beast finally came to the summit of the Endless Stair upon the peak of Celebdil, where he fought the demon for two days and nights. The Balrog had burst into flame anew when it exited the stairs; ice, wind, and smoke swirled about them as they duelled. Gandalf used his last measure of strength to slay the Balrog, throwing him down the mountainside in ruin. Gandalf's spirit then left his body, having sacrificed himself to save the Fellowship.
But Gandalf's spirit did not depart Middle-earth forever at this time. As the only one of the five Istari to stay true to his errand, Olórin/Gandalf was sent back to mortal lands by Eru, and he became Gandalf once again.
There really aren't any direct correlations, like I said, between Middle-earth and reality, or Middle-earth and Christianity (other than the opening passages of The Silmariliion, which read almost identically to the Creation story). I think Gandalf has
some qualities in his tale that could be considered "Christ-like" but I don't think he matches that description more than Frodo does.
These are just my opinions!
